Summary
The integral of a stochastic process is estimated by means of classical quadrature formulae. In contrast to certain conventional methods, knowledge of covariances is not required, and no regularity conditions are assumed. Explicit error representations and error bounds with respect to theL p-norm are established.
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Weba, M. Quadrature of smooth stochastic processes. Probab. Th. Rel. Fields 87, 333–347 (1991). https://doi.org/10.1007/BF01312214
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DOI: https://doi.org/10.1007/BF01312214
Keywords
- Covariance
- Stochastic Process
- Conventional Method
- Probability Theory
- Mathematical Biology